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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/26330
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| Title: | Estimation in the Mixture of Markov Chains |
| Authors: | Frydman, Halina |
| Keywords: | Mixtures of Markov Chains
Mover-stayer model
EM algorithm |
| Issue Date: | 9-Jan-2003 |
| Publisher: | Stern School of Business, New York University |
| Series/Report no.: | SOR-2003-4 |
| Abstract: | This paper considers a new mixture of time homogeneous finite Markov
chains where the mixing is on the rate of movement and develops the EM
algorithm for the maximum likelihood estimation of the parameters of the
mixture. A continuous and discrete time versions of the mixture are
defined and their estimation is considered separately. The simulation
study is carried out for the continuous time mixture. To simplify the
exposition the results are derived for a mixture of two Markov chains,
but can be easily extended to a mixture of any finite number of Markov
chains. The class of mixture models proposed in this paper provides a
framework for modeling population heterogeneity with respect to the rate
of movement. The proposed mixture generalizes the mover-stayer model,
which has been widely employed in applications. |
| URI: | http://hdl.handle.net/2451/26330 |
| Appears in Collections: | IOMS: Statistics Working Papers
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